Don't leave (research) papers until the last minute: procrastination is one of the leading causes of plagiarism.
Avoid taking shortcuts: accurate documentation may seem like "a waste of time," but you'll "waste" a lot more time trying to defend yourself against an allegation of plagiarism.
Take thorough notes and keep accurate records: be sure to indicate in your notes when you are directly quoting a source, when you are paraphrasing, and when you are summarizing. (Make sure you know the difference between quoting, paraphrasing, and summarizing a source!)
When in doubt, ask your instructor: if you aren't sure that you're documenting your sources correctly (whether by using parenthetical references or a fully formatted bibliography), ASK. "But I didn't know!" often isn't considered an adequate defense.
Don't yield to Internet temptations: Buying an essay on the Internet or downloading a website and submitting it as your own work is foolish, for several reasons:
1) Chances are, your professor knows your capabilities as a writer (through in-class writing assignments, midterms, etc.). Submitting an essay whose quality exceeds that of any work you've done prior to that time inevitably looks suspicious.
2) Because Internet essays have to be generic and marketable, they are often not-quite-on-topic. In addition, they may cite materials you haven't covered in class.
3) Websites, particularly those created by specialists in a particular field, may use terminology and vocabulary that is not common parlance among undergraduates. Once a professor becomes suspicious, it often isn't difficult to find the plagiarized website (as an academic integrity officer, it never took me more than half an hour of searching on the web to find evidence of plagiarism). REMEMBER: PROFESSORS ARE PROFESSIONAL RESEARCHERS, trained to find (obscure) information!!
http://www.tcnj.edu/~library/research/tips/citation.html (TCNJ's link to a wide variety of citation formats, including MLA and APA)
http://owl.english.purdue.edu/handouts/research/r_docsources.html (a thorough list of resources available for information about documenting electronic sources, maintained by Purdue University)